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发表于 2011-7-11 19:24 | 只看该作者

execution -delay cost

second, execution, whether

It is close to close price , but whether it is close to benchmark or close to last close?
For instance , benchmark price or decision price=6 1 day pass and close at 6.1 second day pass and close at 6.2 third day you buy it then delay cost = 6.2-6/6 or 6.2-6.1/6?

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发表于 2011-7-11 19:24 | 只看该作者

I simulated it and make sure it is close to benchmark , haha

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发表于 2011-7-11 19:24 | 只看该作者

Day 2 revised benchmark is 6.1. So delay = fill/order*[(6.1-6)/6]

Day 3 revised benchmark is 6.2. So delay = fill/order*[(6.2-6)/6]

NO EXCUSES

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